The S&P 500 closed at (another) record high on Friday while VIX continued to hover closer to the mid-teens than to post-2008 lows. VIX pricing in more risk relative to a record high market can be attributed to any number of factors. There seems to be a consensus feeling that eventually the ratcheting down of bond purchases by the Fed will result in falling stock prices or a slowing of the economy (which could have the same result). Also, I didn’t confirm the quote, but I heard in passing that Friday was the 48th new high over the last 12 months. Regardless of the specifics, there seems to be a bit of extra nervousness despite a higher S&P 500.
Despite VIX dropping 4% on the week, all the futures moved up. We do have an employment number coming up this Friday so it could be the VIX market is bracing itself for any potential market weakness that occurs in conjunction with the state of the job market in February.